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Precios de productos almacenables: implicaciones del modelo de inventarios

Author

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  • Eugenio S.A.Bodenrieth H.

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Abstract

Las variaciones de inventarios son reconocidas, por participantes del mercado y por la literatura, como relevantes en la determinación de precios de activos almacenables. Este artículo presenta resultados de la literatura en modelos dinámicos de expectativas racionales basados en variaciones de inventarios, para explicar variaciones de precios. Las restricciones de no-negatividad en el almacenamiento agregado induce no-linealidad endógena en la demanda de mercado del activo. El modelo genera regularidades empíricas observadas en series de precios: ocasionales aumentos pronunciados de precios, períodos de estabilidad, correlación serial positiva, y asimetría condicional (y límite) de la distribución de precios.

Suggested Citation

  • Eugenio S.A.Bodenrieth H., 2004. "Precios de productos almacenables: implicaciones del modelo de inventarios," Estudios de Economia, University of Chile, Department of Economics, vol. 31(1 Year 20), pages 67-78, June.
  • Handle: RePEc:udc:esteco:v:31:y:2004:i:1:p:67-78
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    More about this item

    Keywords

    Commodities; price; storage; speculation.;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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